Coordinate Descent (CD) Algorithm to Compute Penalized Elastic Net S-estimates — cd_algorithm_options • pense

Set options for the CD algorithm to compute adaptive EN S-estimates.

Usage

cd_algorithm_options(
  max_it = 1000,
  reset_it = 8,
  linesearch_steps = 4,
  linesearch_mult = 0.5
)

Arguments

max_it: maximum number of iterations.
reset_it: number of iterations after which the residuals are re-computed from scratch, to prevent numerical drifts from incremental updates.
linesearch_steps: maximum number of steps used for line search.
linesearch_mult: multiplier to adjust the step size in the line search.

Value

options for the CD algorithm to compute (adaptive) PENSE estimates.

See also

mm_algorithm_options to optimize the non-convex PENSE objective function via a sequence of convex problems.

Other Robust EN algorithms: mm_algorithm_options()